Counterparty Credit Risk Quantitative Developer, VP (Hybrid)

The Counterparty Credit Risk Quant Development is a team within the Citi Markets Quantitative Analysis (MQA) department, responsible for developing analytical models for derivatives counterparty credit risk and exposure computations firm-wide and aligning Front Office Risk and P&L models with CVA and Counterparty Credit exposure (PSE/RWA) calculations. This is a standalone position in London, therefore we are looking for an experienced individual to join the team.

What you'll do

• Development and maintenance of the in-house C++ and Python model libraries


• Advancing the quantitative toolbox by developing modern technologies, algorithms, and numerical techniques


• Working on general efficiency improvement and optimization of the analytical libraries


• Working with IT teams to integrate analytic libraries


• Development and maintenance of the quant infrastructure, databases, and productivity tools


• Supporting the build, testing and release management of the model libraries


• Working on Regulatory and Governance projects across a range of the asset classes
  
  This is not an entry level position, previous experience in a similar role within the financial industry is a must.


• Excellent Python and C++ programming and software design skills, including functional and performance tests design


• Experience developing software for Windows and Linux. Working knowledge of Git, Linux command line tools, and associated DevOps automation


• Experience with CI/CD tools and processes (TeamCity, Jenkins, Tekton, Harness, etc.)


• Proficiency in all aspects of the Software Development Life Cycle


• Knowledge of traditional (RDBMS) and modern datastores (NoSQL)


• Previous experience in developing and supporting analytical libraries and components for pricing and risking financial instruments is an advantage


• Previous experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage


• Proficiency in numerical analysis, familiarity with statistical and Monte-Carlo methods


• Experience with deep-learning frameworks like PyTorch, JAX, TensorFlow, is a plus



• Outstanding analytical and problem-solving skills


• Thorough and detailed approach to accuracy is essential
  
  Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in programming, software design and problem solving to Citi's Counterparty Credit Risk Quantitative Development team.


By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:


• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure


• A discretional annual performance related bonus


• Private medical insurance packages to suit your personal circumstances


• Employee Assistance Program


• Pension Plan


• Paid Parental Leave


• Special discounts for employees, family, and friends


• Access to an array of learning and development resources


Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.